He said they had been talking about “future plans” together.
He denies deliberately shooting dead Ms Steenkamp in his home on Valentine’s Day last year, arguing he mistook her for an intruder.
On his first day on the stand, he made a tearful apology to her family.
The trial was adjourned on Monday after Mr Pistorius was overcome with emotion.
If found guilty, the Paralympic athlete could face life imprisonment.
There are no juries at trials in South Africa, and his fate will ultimately be decided by the judge, assisted by two assessors.
The athlete aims to convince the court that the screams were his, and that he shot Ms Steenkamp through a closed toilet door because he had mistaken her for an intruder.